Wipe off or wash the mushrooms in cold water. Pop out the stems, reserving. Chop the mushroom stems finely and set aside.
Crumble the sausage into a hot dry skillet and cook until browned, 6 to 8 minutes. Set aside on a plate to cool.
Add the rosemary, sage, garlic and onions to the same skillet; cook for 2 minutes over medium-low heat. Pour in the wine to deglaze the skillet, allowing the liquid to evaporate for a couple of minutes. Add the chopped mushroom stems and cook, stirring, for 2 minutes. Add salt and pepper to taste. Set the mixture aside on a plate to cool.
In a bowl, combine the cream cheese and egg yolk. Add the Cheddar cheese and mix. Add the sausage and mushroom stems and stir together.
Arrange the mushroom caps on a baking sheet. Spoon some of the sausage mixture into the cavity of each mushroom, filling the cap and creating a sizable mound over the top. Bake until golden brown, 20 to 25 minutes. Sprinkle with the chives.